May 28: Bloomberg Quant (BBQ) Seminar Series

Please join us for the next installment of the Bloomberg Quant (BBQ) Seminar Series. The seminar takes place every month and covers a wide range of topics in quantitative finance. 

In this session, chaired by Bruno Dupire, Fabio Mercurio will present his current research, followed by several “lightning talks” of 5 minutes each in quick succession. This format gives the audience the opportunity to be exposed to a wider variety of topics.

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Keynote
Fabio Mercurio, Ph.D. Fabio Mercurio, Ph.D.
Global head of Quantitative Analytics
Bloomberg L.P.
Looking Forward to Backward-Looking Rates: A Modeling Framework for Term Rates Replacing LIBOR

In this talk, we define and model forward risk-free term rates, which appear in the payoff definition of derivatives, and possibly cash instruments, based on the new interest-rate benchmarks that will be replacing IBORs globally. We show that the classic interest-rate modeling framework can be naturally extended to describe the evolution of both the forward-looking (IBOR-like) and backward-looking (setting-in-arrears) term rates using the same stochastic process. We then introduce an extension of the LIBOR Market Model (LMM) to backward-looking rates. This extension, which we call generalized forward market model (FMM), completes the LMM by providing additional information about the rate dynamics between fixing/payment times, and by implying dynamics of forward rates under the classic money-market measure. Our FMM formulation is based on the concept of extended zero-coupon bonds, which proves to be very convenient when dealing with backward-looking setting-in-arrears rates. Thanks to this, not only the bonds themselves, but also the forwards and swap rates, along with their associated forward measures, can be defined at all times, even those beyond their natural expiries.


Agenda
  • 5:00pm – Check-in
  • 5:30pm – Keynote:
    Fabio Mercurio, Ph.D., Global head of Quantitative Analytics, Bloomberg L.P.
  • 6:15pm – Lightning talks:
    A lightning talk is a very short presentation lasting only 5 minutes. Several ones will be delivered in a single session by different speakers in quick succession.
  • 7:00pm – Cocktail reception

When & where
Tuesday, May 28, 2019
5:00pm – 8:00pm EDT 

Bloomberg L.P.
731 Lexington Avenue
7 MPR
New York, NY 10022
Map

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About the business
The Bloomberg Terminal brings together real-time data, breaking news, in-depth research, powerful analytics, communications tools and world-class execution capabilities in one fully integrated solution – used by 325,000 of the world’s most influential decision makers.

Welcome to the Quantitative Finance Weekly Seminar (QFWS) page

This page will be updated regularly with information on upcoming QFW Seminars.

This series is a collaborative effort co-organized by Bloomberg LP, Global Risk Institute, International Association of Quantitative Finance (IAQF), NYU’s Courant Institute of Mathematical Sciences, and NYU’s Tandon School of Engineering.

The seminars are held at a different location every week, five locations total, around New York City and Brooklyn–see the Seminar Locations page for details.

Collaborative events organized by Bloomberg LP, Global Risk Institute, Cornell Financial Engineering Manhattan, International Association of Quantitative Finance (IAQF), NYU Courant Institute of Mathematical Sciences, and NYU Tandon School of Engineering.

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